Modified convex hull pricing for fixed load power markets

We consider fixed load power market with non-convexities originating from start-up and no-load costs of generators. The convex hull (minimal uplift) pricing method results in power prices minimizing the total uplift payments to generators, which compensate their potential profits lost by accepting centralized dispatch solution, treating as foregone all opportunities to supply any other output volume allowed by generator internal constraints. For each generator we define a set of output volumes, which are economically and technologically feasible in the absence of centralized dispatch, and propose to exclude output volumes outside the set from lost profit calculations. New pricing method results in generally different set of market prices and lower (or equal) total uplift payment compared to convex hull pricing algorithm.Comment: v.3 (section on comparison with convex hull pricing extended, references added

Pricing Schemes in Electric Energy Markets

abstract: Two thirds of the U.S. power systems are operated under market structures. A good market design should maximize social welfare and give market participants proper incentives to follow market solutions. Pricing schemes play very important roles in market design. Locational marginal pricing scheme is the core pricing scheme in energy markets. Locational marginal prices are good pricing signals for dispatch marginal costs. However, the locational marginal prices alone are not incentive compatible since energy markets are non-convex markets. Locational marginal prices capture dispatch costs but fail to capture commitment costs such as startup cost, no-load cost, and shutdown cost. As a result, uplift payments are paid to generators in markets in order to provide incentives for generators to follow market solutions. The uplift payments distort pricing signals. In this thesis, pricing schemes in electric energy markets are studied. In the first part, convex hull pricing scheme is studied and the pricing model is extended with network constraints. The subgradient algorithm is applied to solve the pricing model. In the second part, a stochastic dispatchable pricing model is proposed to better address the non-convexity and uncertainty issues in day-ahead energy markets. In the third part, an energy storage arbitrage model with the current locational marginal price scheme is studied. Numerical test cases are studied to show the arguments in this thesis. The overall market and pricing scheme design is a very complex problem. This thesis gives a thorough overview of pricing schemes in day-ahead energy markets and addressed several key issues in the markets. New pricing schemes are proposed to improve market efficiency.Dissertation/ThesisMasters Thesis Electrical Engineering 201

Unit commitment : tight formulation and pricing

In recent years, with increasing renewable supply variability, thermal power plants have started up and shut down more frequently. These discrete commitment decisions, optimized in the unit commitment (UC) problem, have an impact on system operations as well as generation expansion planning (GEP). The non-convex costs associated with the commitment decisions may also lead to generators' incentive to deviate from the optimal dispatch under locational marginal prices. In this dissertation, we first propose a convex relaxation of UC based on a primal formulation of the Lagrangian dual problem. This convex relaxation is used (i) to solve the convex hull pricing problem in polynomial time, providing prices with better incentives in non-convex electricity markets, and (ii) to construct a computationally efficient GEP model that represents operational flexibility limits. Next, we present a tight formulation for the commitment of combined-cycle units with representation of their transition ramping. Finally, we propose a pricing method that reduces out-of-market payments in multi-interval real-time markets.Electrical and Computer Engineerin

A compensation-based pricing scheme in marketswith non-convexities

A compensation-based pricing scheme is a market clearing mechanism that may be applied when a uniform, linear pricing scheme cannot support equilibrium allocations in the auction markets. We analyze extensions of our previously proposed pricing scheme [14] to include various possible representations of bids that reflect some non-convex costs and constraints. We conclude with a discussion on directions for future research.auction design, electricity market, non-convex bids, minimum profit condition, unit commitment constraints